Explore
Close
Your acceptance of all cookies will permit robust site functionality. If you don't allow cookies, some features and functionality of OCC's site may not operate as expected. If you do not choose either cookie setting for our site, or if you close this window, this message will continue to display on each page you visit. Cookie settings can be controlled in your Internet browser to automatically reject some forms of cookies. For more details on cookies this site uses, see our OCC Site Cookies page. In addition to using cookies, we retain other information, including your Internet Protocol (IP) address, for the purposes listed in the Privacy Policy.

Senior Model Risk Analyst

Name of Employer:

The Options Clearing Corporation

Job Title:

Senior Model Risk Analyst

Location:

125 S. Franklin Street, Suite 1200, Chicago, IL 60606

Duties:

Assist in the production of monthly reports to fulfill regulatory obligations by evaluating portfolios and identifying the key drivers of risk and P&L, using Kupiec and Christofferson Tests, and reviewing how model parameters behave in isolation and in aggregate.  Review monthly reports to identify outliers and investigate the reason for any outliers using a number of tools such as Matlab, Python, SQL and/or internal Encore screens.  Use object-oriented programming languages (Matlab, R and Python) along with complex SQL queries to extract data related to the margin models, investigate aspects of the GARCH framework and perform Monte Carlo simulations.  Maintain and improve the existing model monitoring scripts by re-writing the programs and/or updating the SQL queries in the scripts.  Create new monitoring scripts related to margin models such as GARCH framework and Vega/Delta liquidity risk using Matlab, R, and Python.  Contribute to the automation of Model Performance Monitoring by assisting other analyst(s) in the Python code development process and reviewing output to ensure accuracy.  Coordinate across different departments to ensure proper implementation of models, facilitate the model validation process, and investigate and mitigate model issues. Model market liquidity for Vega risk and Delta risk.*This position qualifies for The Options Clearing Corporation’s Employee Referral Program.*

Education & Experience Required:

Master’s degree in economics, finance or risk management and two (2) years of experience in model risk analysis or quantitative analysis. In lieu of a master's degree in economics, finance or risk management and 2 years of experience in model risk analysis or quantitative analysis, will accept a bachelor's degree and five years of experience in the same fields.

Special Skills Required:

Must have work experience with each of the following: 1. Performing quantitative analysis using object-oriented programming (Matlab, R and Python) for margin risk models such as GARCH framework or Monte Carlo simulation; 2.  Model market liquidity for Vega risk and Delta risk; and 3. Developing complex queries to extract data using SQL.

Salary

$117,839-$130,491

Apply:

Apply online at www.theocc.com. No calls. EOE.

Step 1
When you find a position you're interested in, click the 'Apply' button. Please complete the application and attach your resume.  

Step 2
You will receive an email notification to confirm that we've received your application.

Step 3
If you are called in for an interview, a representative from OCC will contact you to set up a date, time, and location. 

For more information about OCC, please click here.

OCC is an Equal Opportunity Employer

Apply About OCC
  • REQ-2002
  • Chicago - 125 S Franklin
  • Full Time Regular
  • Posted: Apr. 13, 2021

How to Apply

Step 1 - When you find a position you're interested in, click the 'Apply' button. Please complete the application and attach your resume.

Step 2 - You will receive an email notification to confirm that we've received your application.

Step 3 - If you are called in for an interview, a representative from OCC will contact you to set up a date, time, and location.

OCC is an Equal Opportunity Employer

Numerous studies have shown that people from groups that are traditionally under-represented in financial services apply to jobs only if they believe they meet 100% of the requirements. We want to break down this mindset to further diversify our workforce.

We encourage you to review our open positions and apply if you think your experience may be a match, even if you do not meet all of the qualifications. Your perspective may be an element we need to continue building innovative solutions to support the markets and market participants we serve.

OCC is a globally recognized entity that clears a multitude of diverse and sophisticated products. We want to reflect this in the diversity of our workforce.

This web site discusses exchange-traded options issued by The Options Clearing Corporation. No statement in this web site is to be construed as an endorsement, recommendation or solicitation to purchase or sell a security, or to provide investment advice. Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of the disclosure document, Characteristics and Risks of Standardized Options. Individuals should not enter into option transactions until they have read and understood this document. To obtain copies, contact your broker, any exchange on which options are traded, or The Options Clearing Corporation, 125 S. Franklin Street, Suite 1200, Chicago, IL 60606 ([email protected]).